Hi Emma,
My experience in getting my residencia certificate was a good one and that was only 2 weeks ago.
But I did do it at the Fuengirola Foriegners Department in the Police Station.
To help anybody who does not already know, here are the things you need to take and to do....
First you need the form Modelo 790 which you collect from the Foriegners Department in the Police Station. You need to fill this in and take it to the bank to pay the fee for the certificate which is 6 euros 80 cents.
(by the way if you dont already have an NIE number you will automatically be given one when you get your Residencia Certificate)
The bank will stamp this form to say you have paid.
Then you need to obtain the form Modelo EX-16 which you can download from the following link...
http://britishexpats.com/forum/showthread.php?t=513616 or you can get it from the police station. This then needs to be filled in.
If you are applying for you Certificate at the Furengirola police station you need to make an appointment. I tried by phone but it was always engaged so it was quicker to go down there... it took 10 mins in a queue... and the person you deal with is a really helpful English guy. You can get your Modelo 790 form from him while you are booking your appointment.
Take your passport with you when you go to book the appointment. You will then be given a ticket with a number for when you came back
When you go back on the day off your appointment (mine was 4 days later) take with you the stamped Modelo 790 form, the filled in Modelo EX-16 form, your passport and a copy of your passport. (if you dont have a NIE number yet you might need to take a couple of passport photos with you... you can get them done in a photo/camera shop in the Miramar Center).
I turned up at the police station when the doors opened at 9 and was was a small queue. I already had my appointment and number so I didnt need to queue, so I took a seat and waited for my number to come up. Within 20 mins I was at the desk being dealt with and 5 mins later I had my certificate (it might take longer for the NIE number, but I already had mine).
So I was back home before 10... so I recommend that if you want a stress free time getting you certificate... go to the Fuengirola Police Station. (before you ask, I am not sure if you have to live in that area to use that police Station, but I dont think you do... I live in Calahonda, but I got my NIE number 4 years ago in Marbella, but my Residencia Certificate in Fuengirola 2 weeks ago).
After you have your certificate you can also register with you local town hall, but you have to renew that every 3 months.
Hope this all helps
Paul